Somebody needs to make a do-nothing-useful app, intended for Windows, that also installs on wine and supplies each and every DLL that Windows applications need but we don't have in wine (like MFC42.DLL, the D3DX9_xx.DLL's, new MSVCRT's, etc.). That way we can legally use those DLLs without a Windows licence.
It would be unnecessary if software developers would check for needed .DLL's and install them if they are not present. This is not just a problem on wine. It occasionally arrises in Windows as well (although not as often). I recently bought a new laptop with Vista on it and was missing d3d9_30.dll for my Everquest game. EQ did not install it. Vista did not come with it. Neither did my default installation of direct X. I've seen this problem occur quite a few times on our guild's message board technical question section.
I wouldn't be too worried about the legal issue of using DLLs unless you were planning on using it for a business. If you are, then you should probably purchase a Windows license for each computer that has to use those DLLs. Waste of money, but when it comes to the corporate world, copyright infringement is taken much more seriously. Individuals who want to appease their conscience should just find a Linux equivalent of the needed program, use Windows, or just download the DLLs and not worry about it. If you're morrally opposed to taking DLLs, then you should be morrally opposed to simulating Windows to get Windows programs to run. A can of worms, I know. I just keep seeing this issue come up. I'm not a lawyer, but using Microsoft's DLLs in a wine installation doesn't seem any different than installing Windows media player, Internet Explorer or MS office into wine. Some applications won't work in wine without them. Even if you paid for office, Microsoft expects you to run it on a Windows machine. Mac will run windows now you say? Yes, but you have to purchase a copy of Windows to do so. What if a small company got started by agreeing to develop for Windows? (Don't know an example, but I wouldn't put it past MS to make deals like that.) Then you take their program and run it on wine therefore violating their agreement?
Anyway, I would examine the reason you're concerned about using the DLLs. Wine just doesn't bundle the needed DLLs because that would definately violate copy protection laws. It's an annoyance, but having someone develop a program like you suggest seems a little under the table. ;)